Speaker: Mine Çağlar
Koç University, Department of Mathematics
Seminar: Distribution of Maximum Loss for Fractional Brownian Motion
Date / Time: 19.2.2012 / 15.30
Place: IAM – S209 (Seminar Room)
The maximum loss is one way of measuring the risk of falling prices. The price of a volatile asset can be modeled using fractional Brownian motion with Hurst parameter H > 1/2. The advantage of modeling with fractional Brownian motion over Markov processes is its capability of exposing the long range dependence in log-returns. We find bounds on the distribution of the maximum loss for fractional Brownian motion with H > 1/2 and derive estimates on its tail probability. Asymptotically, the tail of the distribution of maximum loss over [0, t] behaves like the tail of the marginal distribution at time t.
Joint work with Ceren Vardar, TOBB ETU.